According to the manual for Necronomicon that I downloaded from ***Replacementdocs***
Accessing the menu screen.
When you launch the game, you come directly to this screen.
To access the main menu screen during gameplay, press the "Esc" key.
(not accessible from interface screens).
To save a game, click on one of the available spaces. You can overwrite one save
with another by clicking on the image of your previous save. If you want to exit the
screen without saving, click on "Back."
So you're doing it right by using the Escape key. However if you're using the Escape key while zoomed in on something or inside the inventory, it might not work (I'm not sure what "not accessible from interface screens" means, but there is an inventory screen, a writing desk screen, a map screen, and an attache case screen that are different from the regular gameplay screen).
But I'm guessing the company you bought the game from has altered the save feature somehow. Can you tell if it's autosaving now? If you restart the game, does it take you back to where you left off?
I don't see anything about closed captions in the manual I downloaded.